Fresh bash 4.3 and readline 6.3 have something for you guys.. from the changelog:
4. New Features in Readline
j. New user-settable variable, show-mode-in-prompt, adds a characters to the
beginning of the prompt indicating the current editing mode.
So putting
set show-mode-in-prompt on
into /etc/inputrc or ~/.inputrc (thx stooj) should affect all your readline-enabled programs 😉